scholarly journals Forecasting the conditional heteroscedasticity of stock returns usingasymmetric models based on empirical evidence from Eastern Europeancountries: Will there be an impact on other industries?

2021 ◽  
Vol 72 (03) ◽  
pp. 324-330
Author(s):  
ELIZABETH COKER-FARRELL ◽  
ZULFIQAR ALI IMRAN ◽  
CRISTI SPULBAR ◽  
ABDULLAH EJAZ ◽  
RAMONA BIRAU ◽  
...  
Keyword(s):  
Stock Returns ◽  
Automotive Industry ◽  
Selection Criteria ◽  
Clothing Industry ◽  
Leverage Effect ◽  
Eastern European ◽  
Arch Effect ◽  
Daily Stock Returns ◽  
Eastern European Countries ◽  
The Impact

This empirical study investigates the leverage effect in six Eastern European countries under normal and non-normaldistribution densities for the sample period from January 2020 to August 2020. We find three countries, Bulgaria, CzechRepublic and Russia which are subject to ARCH effect whereas Poland, Romania and Hungary do not exhibit ARCHeffect in daily stock returns. Further, our study finds leverage effect, where past bad news affects is asymmetrical, pastnegative returns cause more volatility in current stock returns as compared to past positive returns, in three EasternEuropean countries. Based on the AIC and BIC model selection criteria we find that the non-normal student t-distributionand GED produce reliable estimates for Bulgaria, Czech Republic and Poland, respectively. The autocorrelation functionQ1 statistic confirms the insignificance of autocorrelation in residuals of TGARCH model. The impact of stock marketdynamics on other industries, such as pharmaceutical industry, textile and clothing industry, automotive industry issignificant, especially in the conditions of COVID-19 pandemic

scholarly journals Economic Growth, Corporate Earnings And Equity Returns: Evidence From Central And Eastern European Countries

2016 ◽  
Vol 19 (3) ◽  
pp. 93-111
Author(s):  
Jerzy Gajdka ◽  
Piotr Pietraszewski
Keyword(s):  
Economic Growth ◽  
Stock Returns ◽  
Emerging Market ◽  
Equity Returns ◽  
European Countries ◽  
Gdp Growth ◽  
Eastern European ◽  
Corporate Earnings ◽  
Eastern European Countries ◽  
The Impact

This paper discusses the links between economic growth, corporate earnings and stock returns. Cross-country correlation studies do not confirm the intuitive assumption that higher returns on equities are more likely in the fastergrowing countries. The problem can be analysed more deeply by analysing stock returns with respect to the growth of earnings per share (EPS) and changes in valuation (P/E ratio). Within this framework, two types of factors explaining the lack of correlation between GDP growth and stock returns are distinguished. The empirical research on developed and emerging market countries reveals that in the long run stock price returns are driven by companies’ earnings, and that the lack of correlation between GDP growth and equity returns is almost fully explained by the divergence between GDP growth and EPS growth. In this article the results of an investigation into this area, based on a sample of post-communist Central and Eastern European countries, are presented and discussed. It was found that in these countries changes in valuation (P/E ratio) appear to play an important role, cancelling the impact of EPS growth on stock returns.

scholarly journals The holiday effects in stock returns: a challenge for the textile and clothing industry of India

2020 ◽  
Vol 71 (04) ◽  
pp. 327-333
Author(s):  
BOLAR SHAKILA ◽  
PINTO PRAKASH ◽  
IQBAL THONSE HAWALDAR ◽  
CRISTI SPULBAR ◽  
RAMONA BIRAU
Keyword(s):  
Stock Returns ◽  
Stock Exchange ◽  
Methodological Approach ◽  
Clothing Industry ◽  
Holiday Effect ◽  
Equality Of Means ◽  
Daily Stock Returns ◽  
Holiday Effects ◽  
The Impact ◽  
The Empirical Analysis

This research paper examines the holiday effects presence on the Bombay Stock Exchange (BSE), which is a major Indian stock exchange. Textile and clothing industry in India is one of the most important producers in the world, but also the second exporter of textile and apparels globally. The empirical analysis investigates the impact of holiday effect on the development of textile and clothing industry in India. The holiday effect is one of the most important calendar anomalies identified in the financial markets. The methodological approach includes the non-parametric Mann-Whitney U-test used to test the equality of means for different sub-sets. The findings revealed that the mean returns for pre-holiday and post holidays were greater compared to that of remaining days, but the empirical results showed that they were not statistically significant for selected stocks of BSE based on daily stock returns data for Ruby Mills and Mafatlal Industries

scholarly journals Does a National Innovation System Encourage Sustainability? Lessons from the Construction Industry in Serbia

2021 ◽  
Vol 13 (7) ◽  
pp. 3591
Author(s):  
Marija Mosurović Ružičić ◽  
Mirjana Miletić ◽  
Marina Dobrota
Keyword(s):  
Energy Efficiency ◽  
Construction Industry ◽  
Innovation System ◽  
Business Environment ◽  
National Innovation System ◽  
Eastern European ◽  
System Perspective ◽  
Modern Business ◽  
Eastern European Countries ◽  
The Impact

Influences from the modern business environment indicate the need for the incorporation of sustainability concepts from an innovation system perspective. In the presented research, we emphasize the energy efficiency concept within the frame of sustainability and innovation. The aim of this research was to underline and explore the relationships between innovation, energy efficiency, and sustainability in the construction industry. To answer the research questions, a questionnaire was created to explore the impact of the energy efficiency certification process on the innovation behavior of construction industry enterprises in Serbia. The results show that energy efficiency has supported innovation, and that there exists a relationship between sustainability and innovativeness in the construction industry. Applying energy efficiency passports has influenced the co-operation of enterprises in the construction sector and other actors in the national innovation system in Serbia. The innovation concept demonstrates that enterprises in the construction industry should be observed as a part of the wider picture—the national innovation system. In turn, the specific context of a particular national innovation system should be seen within the wider picture of national innovation systems of Central and Eastern European Countries (CEECs).

Stock markets' reaction to COVID-19: evidence from the six WHO regions

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Anas Ali Al-Qudah ◽  
Asma Houcine
Keyword(s):  
Stock Returns ◽  
Stock Markets ◽  
Early Stage ◽  
Eastern Mediterranean ◽  
Abnormal Returns ◽  
Western Pacific ◽  
Content Type ◽  
Panel Data Regression ◽  
Daily Stock Returns ◽  
The Impact

PurposeThis study investigates the effects of the COVID-19 outbreak on daily stock returns for the six major affected WHO Regions, namely: Africa, Americas, Eastern Mediterranean, Europe, South-East Asia and Western Pacific.Design/methodology/approachThis study uses an event study method and panel-data regression models to examine the effect of the daily increase in the number of COVID-19 confirmed cases on daily stock returns from 1 March to 1 August 2020 for the leading stock market in major affected countries in the WHO regions.FindingsThe results reveal an adverse impact of the daily increasing number of COVID-19 cases on stock returns and stock markets fell quickly in response to the pandemic. The findings also suggest that negative market reaction was strong during the early stage of the outbreak between the 26th and 35th days after the initial confirmed cases. We further find that stock markets in the Western Pacific region experienced more negative abnormal returns as compared to other regions. The results also confirm that feelings of fear among investors turned out to be a mediator and a transmission channel for the effect of COVID-19 outbreak on the stock markets.Research limitations/implicationsThis study contributes to financial literature in two ways. First, we contribute to existing literature that has examined the effect of various catastrophes and crises on the stock markets Second, we contribute to the recent emerging literature that examines the impact of COVID-19 on financial markets.Practical implicationsThe study may have implications for policymakers to deal with this outbreak without triggering uncertainty in stock markets and reassure investors' confidence. The study may also be of interest to investors, managers, financial analysts by revealing how the stock markets quickly respond to outbreaks.Originality/valueThis study is the first study to examine the impact of the COVID-19 outbreak on the leading stock markets of the WHO regions.

scholarly journals Margin requirements and Stock Market Volatility in Bangladesh

2012 ◽  
Vol 3 (2) ◽  
pp. 29
Author(s):  
A. F. M. Mainul Ahsan ◽  
Mohammad Osman Gani ◽  
Md. Bokhtiar Hasan
Keyword(s):  
Stock Returns ◽  
Stock Price ◽  
Stock Exchange ◽  
Price Volatility ◽  
Market Volatility ◽  
Stock Market Volatility ◽  
Margin Requirements ◽  
Margin Requirement ◽  
Daily Stock Returns ◽  
The Impact

Officially margin requirements in bourses in Bangladesh were initiated on April 28, 1999, to limit the amount of credit available for the purpose of buying stocks. The goal of this paper is to measure the impact of changing margin requirement on stock returns' volatility in Dhaka Stock Exchange (DSE). The impact of margin requirement on stock price volatility has been extensively studied with mixed and ambiguous results. Using daily stock returns, we found mixed evidence that SEC's margin requirements have significant impact on market volatility in DSE.

scholarly journals Patterns of Interrelationships between Inflation, R&D, Innovation, and Economic Growth: Evidence from Central and Eastern European Countries

2020 ◽  
Vol 22 (2) ◽  
pp. 5-33
Author(s):  
Ljubivoje Radonjić ◽  
◽  
Nevena Veselinović ◽  
Keyword(s):  
Economic Growth ◽  
Positive Impact ◽  
Primary Objective ◽  
Output Growth ◽  
European Countries ◽  
Eastern European ◽  
Innovation Activities ◽  
Private And Public ◽  
Eastern European Countries ◽  
The Impact

The primary objective of the article is to examine the nexus between inflation, R&D, patents, and economic growth within a group of Central and Eastern European countries (CEECs). The examination is conducted in two parts. First, the impact of total R&D expenditures on economic growth is observed, as well as the influence of growth on private and public R&D investments. Second, the conversion from private and public R&D investment to innovation, measured by the number of patents, is observed. Throughout the analysis, economic growth and inflation are representative of macroeconomic stability. The outcomes of the panel auto-regressive distributed lag estimation indicate that total R&D expenditures are essential and positively significant for economic growth in the observed countries. The results also show that output growth has a remarkably positive impact on generating private R&D expenditures. Such an influence is also found, but at a weaker level, in the case of public R&D expenditures. In this part of the analysis, inflation has demonstrated a harmful influence on R&D expenditures. The results of the second part indicate that public and private R&D expenditures, at a significant level, generate innovation activities, while the impact of inflation has proven to be unimportant.

scholarly journals Mining, Poverty, and Income Inequality in Central and Eastern European Countries: What Do the Data Tell Us?

2021 ◽  
Vol 24 (3) ◽  
pp. 7-25
Author(s):  
Kunofiwa Tsaurai
Keyword(s):  
Income Inequality ◽  
Random Effects ◽  
Poverty Reduction ◽  
Common Ground ◽  
European Countries ◽  
Estimation Methods ◽  
Eastern European ◽  
Infrastructural Development ◽  
Eastern European Countries ◽  
The Impact

The study investigates the effect of mining on both poverty and income inequality in Central and Eastern European countries (CEECs) using econometric estimation methods with panel data spanning from 2009 to 2019. Another objective of this paper was to determine if the complementarity between mining and infrastructural development reduced poverty and or income inequality in CEECs. What triggered the study is the failure of the existing literature to have a common ground regarding the impact of mining on poverty and or income inequality. The existing literature on the subject matter is contradictory, mixed, and divergent; hence, it paves the way for further empirical tests. The study confirmed that the vicious cycle of poverty is relevant in CEECs. According to the dynamic generalized methods of moments (GMM), mining had a significant poverty reduction influence in CEECs. The dynamic GMM and random effects revealed that the complementarity between mining and infrastructural development also enhanced poverty reduction in CEECs. Random effects and pooled OLS shows that mining significantly reduced income inequality in CEECs. However, random effects and the dynamic GMM results indicate that income inequality was significantly reduced by the complementarity between mining and infrastructural development. The authorities in CEECs are therefore urged to implement mining growth and infrastructural development-oriented policies in order to successfully fight off the twin challenges of poverty and income inequality.

scholarly journals Domestic Final Demand as a Determinant of R&D Activity in Selected Central and Eastern European Countries

2014 ◽  
Vol 17 (1) ◽  
pp. 109-128
Author(s):  
Iwona Świeczewska
Keyword(s):  
Empirical Study ◽  
Central And Eastern Europe ◽  
Final Demand ◽  
Eastern European ◽  
Household Demand ◽  
Input Output ◽  
Main Research ◽  
Leontief Model ◽  
Eastern European Countries ◽  
The Impact

This article presents the results of an empirical study conducted based on selected countries in Central and Eastern Europe. The study focused on the impact of domestic final demand for products manufactured by individual industries on the R&D activity in the country. The main research tools are the Leontief model and R&D multipliers. The application of the input-output methods allows domestic R&D expenditures to be broken down into institutional sectors to establish what part of the expenditures is embodied in products manufactured to meet final household demand, in exports, etc.

The roads of ‘excellence’ in Central and Eastern Europe

2017 ◽  
Vol 16 (5) ◽  
pp. 547-567 ◽  
Author(s):  
Dominik Antonowicz ◽  
Jan Kohoutek ◽  
Rómulo Pinheiro ◽  
Myroslava Hladchenko
Keyword(s):  
Eastern European ◽  
Policy Makers ◽  
The Czech Republic ◽  
Local Contexts ◽  
Flagship Universities ◽  
Policy Measures ◽  
Eastern European Countries ◽  
The Impact ◽  
Strategic Funding

The aim of the article is to explore the impact of excellence as a powerful policy idea in the context of recent and contemporary developments in three selected Central and Eastern European countries, namely, the Czech Republic, Poland and Ukraine. More specifically, we explore how excellence as a ‘global script’ was translated by policy makers into local contexts with institutionalized practices. It shows that the translation of the idea of excellence involved the rise of a series of novel policy measures such as long-term strategic funding and the establishment of various pertinent schemes (e.g. flagship universities, centres of excellence). By doing so, the analysis – which is comparative by nature – focuses on exploring major differences and similarities in the conceptualization and implementation of the idea of excellence in the three local contexts of science.

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